Prior comparison unavailable: the published 2026-09-20 edition is verified but ends at 20 Sept, 16:30 UTC; this window requires 20 Sept, 18:42 UTC.
A structured watchlist was not recorded or could not be verified in the prior edition; prior-watch outcomes remain unavailable.
Next daily cutoff: measurable checks
These checks are reconstructed from this edition’s stored endpoints; they were not recorded in the original report.
Hold the observed level: BTC 1W ATM IV ≥ 38.96 percent at . Current level 38.96; threshold is the current observed endpoint.
Full retrace: BTC 1W ATM IV ≤ 34.20 percent at . Current level 38.96; threshold is the previous observed endpoint.
Measurement basis and receipt
These are observed-level conditions for the next aligned cutoff, with no forecast or trade action. Spot uses exact index endpoints where available; ATM IV is quoted in percent and its change, RR25 and BF25 in volatility points. Derived from verified legacy artifact endpoints.
BTC:atmIv:1W:observed-current-level: rows[asset=BTC].report.tenors[tenor=1W].atmIv.previous; rows[asset=BTC].report.tenors[tenor=1W].atmIv.current; rows[asset=BTC].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-21T18:42:00+00:00 to 2026-09-22T18:42:00+00:00.
BTC:atmIv:1W:observed-previous-level: rows[asset=BTC].report.tenors[tenor=1W].atmIv.previous; rows[asset=BTC].report.tenors[tenor=1W].atmIv.current; rows[asset=BTC].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-21T18:42:00+00:00 to 2026-09-22T18:42:00+00:00.
Chart notes
Combined surface read: ATM IV rose (BTC); RR25 moved toward calls (BTC).
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Smile rotation is the fitted IV change at +0.15 log-moneyness minus the change at −0.15, in volatility points. A positive reading indicates a relative shift toward the call side.
Bitcoin volatility reprices higher
Bitcoin one-week ATM IV jumped while reporting noted a January-high spot print.
Macro
No qualifying macro context was retained.
Crypto
Bitcoin reached its highest level since January as crude fell.
RR25 is unavailable because comparable observations were not present at both snapshots. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
Contracts with fewer than 2 full days to expiry remain in the tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.
0.6d
Smile rotation
22SEP26, +6.13 vol pts1.6d
ATM IV change
23SEP26, +4.95 vol pts
10 · Volatility term structure
Today against the previous 24-hour snapshot.
Only fixed tenors bracketed by listed expiries at both snapshots are charted. The listed-expiry table preserves the observable exchange maturities underneath those interpolated points.
CurrentComparison snapshot
Suppressed outside the observable listed-expiry range: 1Y.
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
22SEP26Expiry effect
0.6 days
85,931.11
+4709.41 USD
33.24%
+0.27 vol pts
+1.32 vol pts
Unavailable
23SEP26Expiry effect
1.6 days
85,951.77
+4721.67 USD
38.41%
+4.95 vol pts
+0.58 vol pts
Unavailable
24SEP26
2.6 days
85,954.72
+4715.63 USD
39.31%
+5.51 vol pts
+0.16 vol pts
Unavailable
25SEP26
3.6 days
85,968.21
+4712.93 USD
40.00%
+5.44 vol pts
-0.12 vol pts
Unavailable
2OCT26
10.6 days
86,089.08
+4746.32 USD
38.59%
+4.66 vol pts
+0.26 vol pts
Unavailable
9OCT26
17.6 days
86,149.94
+4740.64 USD
36.79%
+3.07 vol pts
+1.19 vol pts
Unavailable
30OCT26
38.6 days
86,439.81
+4774.54 USD
36.14%
+1.91 vol pts
+0.51 vol pts
Unavailable
27NOV26
66.6 days
86,782.54
+4794.02 USD
38.12%
+1.90 vol pts
+0.71 vol pts
Unavailable
25DEC26
94.6 days
87,175.33
+4847.69 USD
38.72%
+1.64 vol pts
+1.19 vol pts
Unavailable
26MAR27
185.6 days
88,186.34
+4864.46 USD
39.48%
+0.91 vol pts
+0.40 vol pts
Unavailable
25JUN27
276.6 days
89,223.08
+4879.51 USD
40.39%
+0.71 vol pts
+0.46 vol pts
Unavailable
11 · Smile movement
Reconstructed SVI smiles for every common expiry.
Each overlay uses the stored five-parameter SVI fit and the snapshot-specific time to expiry. Ultra-short expiries are displayed but do not determine the headline ranking.
22SEP26rotation towards calls · wing steepening23SEP26rotation towards calls · wing steepening24SEP26rotation towards calls · wing steepening25SEP26parallel shift higher · wing steepening2OCT26parallel shift higher · rotation towards calls9OCT26rotation towards calls · wing steepening30OCT26parallel shift higher · rotation towards calls27NOV26parallel shift higher · rotation towards calls25DEC26rotation towards calls26MAR27parallel shift higher25JUN27parallel shift higher
Surface movement heatmap
Each cell is the fitted IV change in volatility points. Rows are listed expiries; columns run from the put wing through ATM to the call wing.
IV lowerIV higher
22SEP26
23SEP26
24SEP26
25SEP26
2OCT26
9OCT26
30OCT26
27NOV26
25DEC26
26MAR27
25JUN27
-0.30kATM+0.30k
Completed-session cross-asset context
Crypto volatility against US equity risk.
BTC 30-day implied volatility was 2.3 times VIX, while its 30-session return correlation with SPX was low at 0.27.
Implied-volatility premium
BTC 30-day ATM IV was 34.22%, against VIX at 14.81: a 19.41-point spread and 2.31× ratio.
Daily-close realised-volatility regime
BTC reported crypto realised volatility was 42.30%, versus SPX reported realised volatility of 9.38%.
Equity co-movement
Return correlation with SPX was 0.265 over 30 aligned sessions and 0.270 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.27, 14.81 and 18.24.
RV comparison basis unverified: this edition does not record the recognised provider methodology for both horizons and annualisation conventions. Any historical spread rank should not be interpreted as establishing matched-horizon comparability.
As of 18 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252).
RV observation windows and sampling
The intraday RV comparison is unavailable. Recorded reason: Canonical BTC index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded No coverage policy was recorded; its thresholds cannot be established from another report.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-20 18:42:00 UTC → 2026-09-21 18:42:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Reader summary (BF-specific claims withheld)
Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96% over the observation window, a large move at the 91.3 percentile of comparable history. The 24SEP26 Bitcoin forward-proxy price rose 5.80% to $85,954.72. Derivasys data also show the front-end ATM IV average rose faster than the long end, while three-month RR25 shifted toward calls but remained negative, leaving relative put-side volatility richer.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: BTC 1W ATM IV 38.96% · Δ +4.76 vol pts
Skew: BTC 1W RR25 -0.22 vol pts · Δ +0.39 vol pts
Curve: BTC 6M minus 1W ATM IV spread +0.50 vol pts · spread Δ -3.83 vol pts
Vol
BTC 1W ATM IV 38.96% · Δ +4.76 vol ptspercentile rank 91.3% by absolute move · full history (n=150)
Technical appendix: measurement and history provenance
Original edition evidence follows unchanged. Its BF slots retain the original full fly25 or unverified basis; these receipts do not validate canonical BF25 history or ranks.
These diagnostics preserve the fitted-surface audit trail without competing with the main market story.
Show SVI parameter changes and normalized Greeks
SVI diagnostics
Daily movement in a, b, rho, m and sigma.
Among ranking-eligible expiries, the largest absolute rho change occurred at 9OCT26; the largest sigma change occurred at 25DEC26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
22SEP26
-0.02650
+0.01870
+0.05330
+0.01210
+0.19180
rotation towards calls, wing steepening
23SEP26
-0.01640
+0.00680
+0.00710
-0.00700
+0.11090
rotation towards calls, wing steepening
24SEP26
+0.00620
-0.00300
+0.01230
+0.00570
-0.03570
rotation towards calls, wing steepening
25SEP26
+0.00330
+0.00130
+0.04680
+0.02760
-0.02940
parallel shift higher, wing steepening
2OCT26
+0.00160
+0.00300
+0.03230
+0.02490
-0.02240
parallel shift higher, rotation towards calls
9OCT26
+0.02350
-0.00430
+0.06300
+0.06050
-0.12590
rotation towards calls, wing steepening
30OCT26
+0.01490
-0.00490
+0.06110
+0.05610
-0.07050
parallel shift higher, rotation towards calls
27NOV26
-0.00370
+0.01320
+0.00140
-0.01080
-0.01710
parallel shift higher, rotation towards calls
25DEC26
+0.07900
-0.02670
-0.05240
-0.01020
-0.20360
rotation towards calls
26MAR27
+0.03870
-0.02350
+0.03500
+0.04090
-0.05480
parallel shift higher
25JUN27
+0.07710
-0.03370
+0.00810
+0.02110
-0.13330
parallel shift higher
Current surface characteristics
Where normalized model Greek intensity is highest.
These are comparable Black-forward Greeks for a one-BTC ATM-forward call at each listed expiry—not portfolio exposure, open interest or a prediction of dealer positioning.
Thresholds are asset-specific policies recorded in this edition. Each window is assessed independently; returns spanning gaps are excluded. Partial estimates may miss volatility during gaps.
RV coverage and methodology
BTC · Unavailable · Surface cutoff 21 Sept 2026, 18:42:00 UTC · 7D coverage not recorded / not recorded required · largest 7D gap not recorded / not recorded maximum · maximum gap not recorded. RV suppressed — valid 7D coverage was not recorded. Canonical BTC index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded Full 7D coverage policy was not recorded.
Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.
Smile reconstruction
Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.
Ultra-short expiries
Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.
Greek normalization
Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV
Catalyst policy
Only sufficiently relevant, reliably sourced events are shown; otherwise no catalyst is assigned.
